NPORT-EX 2 merger2.htm PART F
The Merger Fund
         
SCHEDULE OF INVESTMENTS
         
March 31, 2021 (Unaudited)
         
           
   
Shares
     
Value
 
LONG INVESTMENTS - 95.48%
             
COMMON STOCKS - 60.78%
             
AEROSPACE & DEFENSE - 0.67%
             
Aerojet Rocketdyne Holdings, Inc.
   
562,684
     
$
26,423,641
 
APPLICATION SOFTWARE - 6.61%
                 
Pluralsight, Inc. Class A (a)(j)
   
1,008,229
       
22,523,836
 
RealPage, Inc. (a)(k)
   
827,451
       
72,153,727
 
SEMrush Holdings, Inc. Class A (a)
   
550
       
6,551
 
Slack Technologies, Inc. Class A (a)
   
4,071,327
       
165,418,016
 
               
260,102,130
 
ASSET MANAGEMENT & CUSTODY BANKS - 0.14%
                 
Waddell & Reed Financial, Inc. Class A
   
215,109
       
5,388,480
 
BIOTECHNOLOGY - 5.17%
                 
Alexion Pharmaceuticals, Inc. (a)
   
1,206,601
       
184,501,359
 
China Biologic Products Holdings, Inc. - ADR (a)
   
159,649
       
18,904,038
 
               
203,405,397
 
CHEMICALS - 0.08%
                 
DuPont de Nemours, Inc. (j)
   
42,135
       
3,256,193
 
CONSTRUCTION MACHINERY & HEAVY TRUCKS - 2.78%
                 
Navistar International Corporation (a)(k)
   
2,482,541
       
109,306,280
 
DATA PROCESSING & OUTSOURCED SERVICES - 0.41%
                 
NIC, Inc.
   
473,116
       
16,052,826
 
ELECTRONIC EQUIPMENT & INSTRUMENTS - 6.03%
                 
Coherent, Inc. (a)(e)
   
413,566
       
104,586,706
 
FLIR Systems, Inc.
   
2,350,451
       
132,729,968
 
               
237,316,674
 
HEALTH CARE EQUIPMENT - 4.90%
                 
Varian Medical Systems, Inc. (a)(e)
   
1,092,841
       
192,919,222
 
HEALTH CARE TECHNOLOGY - 1.79%
                 
Change Healthcare, Inc. (a)(e)
   
3,190,118
       
70,501,608
 
HOTELS, RESORTS & CRUISE LINES - 0.89%
                 
Extended Stay America, Inc. (j)(k)
   
1,765,254
       
34,863,767
 
INSURANCE BROKERS - 5.71%
                 
Willis Towers Watson plc - ADR (e)
   
981,446
       
224,633,360
 
INTEGRATED TELECOMMUNICATION SERVICES - 0.23%
                 
Cincinnati Bell, Inc. (a)
   
600,909
       
9,223,953
 
INTERACTIVE MEDIA & SERVICES - 0.05%
                 
Sogou, Inc. - ADR (a)
   
262,475
       
1,981,686
 
INTERNET & DIRECT MARKETING RETAIL - 1.02%
                 
Grubhub, Inc. (a)(f)
   
654,298
       
39,984,151
 
LIFE & HEALTH INSURANCE - 1.02%
                 
American Equity Investment Life Holding Company (j)
   
11,338
       
357,487
 
Athene Holding Ltd. - ADR (a)
   
772,167
       
38,917,217
 
Genworth Financial, Inc. Class A (a)
   
306,379
       
1,017,178
 
Oscar Health, Inc. Class A (a)
   
500
       
13,440
 
               
40,305,322
 
LIFE SCIENCES TOOLS & SERVICES - 1.53%
                 
PRA Health Sciences, Inc. (a)
   
392,008
       
60,106,587
 
MULTI-LINE INSURANCE - 0.44%
                 
The Hartford Financial Services Group, Inc.(j)
   
258,600
       
17,271,894
 
PHARMACEUTICALS - 1.82%
                 
Aphria, Inc. - ADR (a)(k)
   
654,289
       
12,019,289
 
GW Pharmaceuticals plc - ADR (a)
   
213,385
       
46,283,206
 
TPCO Holding Corporation - ADR (a)(f)
   
1,816,240
       
13,476,501
 
               
71,778,996
 
RAILROADS - 1.03%
                 
Kansas City Southern (k)
   
152,889
       
40,350,465
 
REGIONAL BANKS - 0.20%
                 
TCF Financial Corporation
   
167,477
       
7,780,981
 
REITs - 0.40%
                 
Brookfield Property Partners LP (b)(f)
   
878,836
       
15,634,492
 
RESEARCH & CONSULTING SERVICES - 5.49%
                 
CoreLogic, Inc. (j)
   
805,739
       
63,854,816
 
IHS Markit Ltd. - ADR
   
1,571,466
       
152,086,479
 
               
215,941,295
 
SEMICONDUCTORS - 11.45%
                 
Inphi Corporation (a)(e)
   
1,003,648
       
179,060,840
 
Magnachip Semiconductor Corporation (a)
   
758,238
       
18,880,126
 
Maxim Integrated Products, Inc. (a)(e)
   
1,643,196
       
150,138,818
 
Xilinx, Inc. (a)
   
826,924
       
102,455,884
 
               
450,535,668
 
SPECIALITY CHEMICALS - 0.00%
                 
Diversey Holdings Ltd. - ADR (a)
   
600
       
8,826
 
SPECIALTY STORES - 0.66%
                 
The Michaels Cos, Inc. (a)(j)
   
340,585
       
7,472,435
 
Sportsman's Warehouse Holdings, Inc. (a)
   
1,080,309
       
18,624,527
 
               
26,096,962
 
TIRES & RUBBER - 0.26%
                 
Cooper Tire & Rubber Company
   
178,929
       
10,016,445
 
TOTAL COMMON STOCKS (Cost $2,289,388,547)
             
2,391,187,301
 
   
Shares/Units
           
SPECIAL PURPOSE ACQUISITION COMPANIES - 12.15% (a)
                 
26 Capital Acquisition Corporation
   
122,000
       
1,224,880
 
890 5th Avenue Partners, Inc. Class A
   
353,545
       
3,517,773
 
Accelerate Acquisition Corporation
   
604,200
       
5,999,706
 
ACE Convergence Acquisition Corporation Class A - ADR
   
155,096
       
1,546,307
 
Ajax I Class A - ADR (k)
   
1,882,229
       
19,311,670
 
Altimar Acquisition Corporation Class A - ADR (k)
   
404,113
       
3,992,636
 
Altimar Acquisition Corporation II - ADR
   
10,500
       
107,099
 
Altimar Acquisition Corporation III - ADR
   
163,357
       
1,633,570
 
Altitude Acquisition Corporation Class A (k)
   
481,728
       
4,831,732
 
Anzu Special Acquisition Corporation I (k)
   
15,412
       
153,812
 
Apollo Strategic Growth Capital Class A - ADR
   
979,644
       
9,698,476
 
Archimedes Tech SPAC Partners Company
   
13,489
       
133,406
 
Ares Acquisition Corporation - ADR
   
157,500
       
1,575,000
 
Arrowroot Acquisition Corporation (f)
   
575,536
       
5,712,195
 
Artius Acquisition, Inc. - ADR (k)
   
631,794
       
6,381,119
 
Ascendant Digital Acquisition Corporation Class A - ADR (k)
   
804,047
       
7,960,065
 
Atlas Crest Investment Corporation II
   
107,500
       
1,075,537
 
Aurora Acquisition Corporation - ADR
   
14,386
       
148,895
 
Austerlitz Acquisition Corporation I - ADR
   
38,000
       
381,520
 
Austerlitz Acquisition Corporation II - ADR
   
63,000
       
631,890
 
Authentic Equity Acquisition Corporation - ADR
   
21,600
       
213,624
 
Avanti Acquisition Corporation Class A - ADR
   
609,156
       
5,951,454
 
Bespoke Capital Acquisition Corporation Class A - ADR (f)
   
1,014,268
       
10,122,395
 
Biotech Acquisition Company - ADR
   
40,000
       
395,600
 
BlueRiver Acquisition Corporation - ADR
   
10,650
       
106,181
 
BowX Acquisition Corporation Class A
   
164,839
       
1,925,320
 
Bridgetown 2 Holdings Ltd. Class A - ADR (k)
   
40,000
       
409,600
 
Build Acquisition Corporation
   
82,156
       
810,880
 
Burgundy Technology Acquisition Corporation - ADR
   
60,045
       
654,190
 
Burgundy Technology Acquisition Corporation Class A - ADR (k)
   
1,028,951
       
10,176,325
 
CC Neuberger Principal Holdings II Class A - ADR
   
754,616
       
7,440,514
 
CC Neuberger Principal Holdings III - ADR
   
114,000
       
1,138,860
 
Cerberus Telecom Acquisition Corporation Class A - ADR
   
397,959
       
3,939,794
 
CF Acquisition Corporation VI
   
55,750
       
553,040
 
CF Acquisition Corporation VIII
   
160,000
       
1,587,200
 
CHP Merger Corporation (f)
   
129,524
       
1,336,688
 
CHP Merger Corporation Class A
   
304,912
       
3,021,678
 
Churchill Capital Corporation II Class A
   
204,238
       
2,042,380
 
Class Acceleration Corporation
   
11,750
       
116,325
 
Climate Real Impact Solutions II Acquisition Corporation
   
4,860
       
48,600
 
Cohn Robbins Holdings Corporation Class A - ADR
   
1,092,312
       
10,737,427
 
Colicity, Inc. Class A
   
368,445
       
3,721,294
 
Colonnade Acquisition Corporation II - ADR
   
62,933
       
619,890
 
Compute Health Acquisition Corporation Class C
   
14,400
       
145,296
 
Conx Corporation Class A
   
613,768
       
6,119,267
 
Corner Growth Acquisition Corporation - ADR
   
188,816
       
1,907,042
 
COVA Acquisition Corporation - ADR
   
162,199
       
1,613,880
 
D & Z Media Acquisition Corporation
   
167,214
       
1,653,746
 
D8 Holdings Corporation Class A - ADR
   
158,600
       
1,576,484
 
Decarbonization Plus Acquisition Corporation II
   
27,000
       
271,620
 
Deep Lake Capital Acquisition Corporation - ADR
   
335,382
       
3,373,943
 
DFP Healthcare Acquisitions Corporation Class A (f)
   
331,952
       
3,306,242
 
DigitalOcean Holdings, Inc.
   
500
       
21,065
 
E.Merge Technology Acquisition Corporation Class A
   
1,187,298
       
11,576,156
 
Empower Ltd. Class A - ADR
   
398,768
       
3,979,705
 
Equity Distribution Acquisition Corporation Class A
   
1,069,829
       
10,602,005
 
ESM Acquisition Corporation - ADR
   
63,000
       
626,220
 
Falcon Capital Acquisition Corporation Class A (k)
   
526,263
       
5,246,842
 
FinServ Acquisition Corporation II
   
6,700
       
66,766
 
Fintech Evolution Acquisition Group - ADR
   
270,205
       
2,666,923
 
FirstMark Horizon Acquisition Corporation Class A
   
239,557
       
2,520,140
 
Foley Trasimene Acquisition Corporation (k)
   
335,825
       
3,371,683
 
Foresight Acquisition Corporation
   
66,503
       
659,045
 
Fortress Capital Acquisition Corporation - ADR
   
344,495
       
3,448,395
 
Fortress Value Acquisition Corporation II Class A (k)
   
306,157
       
3,052,385
 
FTAC Athena Acquisition Corporation - ADR
   
301,862
       
3,018,620
 
FTAC Hera Acquisition Corporation - ADR
   
141,200
       
1,410,588
 
Fusion Acquisition Corporation Class A (k)
   
213,484
       
2,126,301
 
Fusion Acquisition Corporation II
   
212,300
       
2,108,139
 
G Squared Ascend I, Inc. - ADR
   
274,171
       
2,741,710
 
Galileo Acquisition Corporation - ADR (k)
   
112,274
       
1,122,740
 
GigCapital4, Inc.
   
130,452
       
1,287,561
 
Goal Acquisitions Corporation
   
564,935
       
5,654,999
 
Golden Falcon Acquisition Corporation Class A
   
345,674
       
3,342,668
 
Gores Holdings V, Inc.
   
2
       
18
 
Gores Holdings V, Inc. Class A
   
406,555
       
4,057,419
 
GS Acquisition Holdings Corporation Class A
   
822,744
       
8,581,220
 
Haymaker Acquisition Corporation III
   
334,161
       
3,321,560
 
Healthcare Services Acquisition Corporation Class A (k)
   
450,508
       
4,360,917
 
Hennessy Capital Investment Corporation V
   
8,400
       
85,008
 
Highcape Capital Acquisition Corporation Class A (k)
   
106,081
       
1,264,486
 
Highland Transcend Partners I Corporation - ADR
   
20,847
       
209,721
 
HPX Corporation Class A - ADR
   
49,224
       
483,380
 
Hudson Executive Investment Corporation Class A (k)
   
298,848
       
2,964,572
 
Hudson Executive Investment Corporation II
   
17,300
       
169,713
 
Independence Holdings Corporation - ADR
   
113,012
       
1,130,120
 
InterPrivate II Acquisition Corporation
   
63,494
       
627,956
 
InterPrivate III Financial Partners, Inc.
   
63,494
       
626,051
 
InterPrivate IV InfraTech Partners, Inc.
   
16,373
       
162,093
 
Jack Creek Investment Corporation - ADR
   
116,600
       
1,155,506
 
Jaws Mustang Acquisition Corporation - ADR
   
36,600
       
371,490
 
Kensington Capital Acquisition Corporation II
   
112,600
       
1,155,276
 
Khosla Ventures Acquisition Company III Class A
   
267,000
       
2,659,320
 
Kismet Acquisition One Corporation - ADR
   
402,867
       
3,988,383
 
KL Acquisition Corporation Class A
   
622,584
       
6,039,065
 
KludeIn I Acquisition Corporation
   
32,000
       
318,400
 
Landcadia Holdings III, Inc.
   
175,000
       
1,837,500
 
Lerer Hippeau Acquisition Corporation Class A
   
205,384
       
2,033,302
 
LGL Systems Acquisition Corporation Class A (k)
   
506,660
       
5,036,200
 
Lionheart Acquisition Corporation II (f)
   
99,008
       
1,002,951
 
Longview Acquisition Corporation II
   
426,923
       
4,286,307
 
Marlin Technology Corporation - ADR
   
661,635
       
6,358,312
 
Marlin Technology Corporation Class A - ADR
   
2
       
20
 
Marquee Raine Acquisition Corporation - ADR
   
54,155
       
549,673
 
Mason Industrial Technology, Inc.
   
197,230
       
1,960,466
 
Medicus Sciences Acquisition Corporation - ADR
   
164,000
       
1,615,400
 
Mercer Park Brand Acquisition Company Class A - ADR (f)
   
1,600,000
       
16,240,000
 
Merida Merger Corporation I
   
233,189
       
2,303,907
 
Montes Archimedes Acquisition Corporation Class A
   
202,264
       
1,978,142
 
Motive Capital Corporation Class A - ADR
   
416,211
       
4,078,868
 
The Music Acquisition Corporation
   
205,000
       
2,045,900
 
Newbury Street Acquisition Corporation
   
62,108
       
614,248
 
NextGen Acquisition Corporation Class A - ADR (k)
   
323,957
       
3,213,653
 
Noble Rock Acquisition Corporation - ADR
   
18,600
       
183,954
 
Northern Genesis Acquisition Corporation II
   
10,400
       
106,496
 
Novus Capital Corp II
   
32,200
       
322,000
 
Osprey Technology Acquisition Corporation Class A (k)
   
66,503
       
686,311
 
Pathfinder Acquisition Corporation - ADR
   
370,609
       
3,669,029
 
Peridot Acquisition Corporation II - ADR
   
176,260
       
1,752,024
 
Pershing Square Tontine Holdings Ltd. Class A (j)(k)
   
197,417
       
4,739,982
 
Pioneer Merger Corporation - ADR
   
436,651
       
4,362,143
 
Pivotal Investment Corporation III
   
54,665
       
546,650
 
Pontem Corporation Class A - ADR
   
403,899
       
3,909,742
 
Power & Digital Infrastructure Acquisition Corporation
   
7,600
       
76,380
 
Prime Impact Acquisition I - ADR
   
3,935
       
38,957
 
Prime Impact Acquisition I Class A - ADR
   
454,200
       
4,419,366
 
Progress Acquisition Corporation
   
6,819
       
67,167
 
Property Solutions Acquisition Corporation II
   
130,444
       
1,282,265
 
Prospector Capital Corporation Class A - ADR
   
465,264
       
4,527,019
 
Qell Acquisition Corporation Class A - ADR (k)
   
174,461
       
1,776,013
 
RedBall Acquisition Corporation Class A - ADR
   
336,495
       
3,348,125
 
Reinvent Technology Partners Y - ADR
   
33,980
       
341,159
 
Replay Acquisition Corporation - ADR (f)
   
733,297
       
7,354,969
 
Revolution Acceleration Acquisition Corporation Class A
   
278,800
       
2,827,032
 
RMG Acquisition Corporation III - ADR
   
425,900
       
4,237,705
 
Rocket Internet Growth Opportunities Corporation - ADR (k)
   
372,661
       
3,730,337
 
Ross Acquisition Corporation II - ADR
   
11,064
       
110,197
 
ScION Tech Growth II - ADR
   
80,650
       
803,274
 
Senior Connect Acquisition Corporation I Class A
   
317,258
       
3,083,748
 
Simon Property Group Acquisition Holdings, Inc.
   
368,092
       
3,699,325
 
Soaring Eagle Acquisition Corporation - ADR
   
13,100
       
132,572
 
Spartan Acquisition Corporation III
   
647,295
       
6,492,369
 
Sports Entertainment Acquisition Corporation
   
135,001
       
1,385,110
 
Sports Entertainment Acquisition Corporation Class A
   
503,854
       
4,922,654
 
Starboard Value Acquisition Corporation Class A
   
399,378
       
3,965,824
 
Supernova Partners Acquisition Company III Ltd. - ADR
   
235,522
       
2,355,220
 
Sustainable Development Acquisition I Corporation (k)
   
22,700
       
225,865
 
Tailwind Acquisition Corporation Class A (k)
   
1,073,615
       
10,650,261
 
Thimble Point Acquisition Corporation
   
18,500
       
185,000
 
Thunder Bridge Acquisition II Ltd. Class A - ADR (k)
   
107,281
       
1,117,868
 
Thunder Bridge Capital Partners III, Inc.
   
406,752
       
4,022,777
 
Tishman Speyer Innovation Corporation II
   
352,712
       
3,527,120
 
TPG Pace Tech Opportunities Corporation Class A - ADR
   
106,973
       
1,060,102
 
Trebia Acquisition Corporation Class A - ADR (k)
   
677,869
       
6,751,575
 
Tribe Capital Growth Corporation I
   
222,494
       
2,236,065
 
Tuscan Holdings Corporation II
   
304,697
       
3,074,393
 
TWC Tech Holdings II Corporation Class A
   
384,687
       
3,785,320
 
Twelve Seas Investment Company II
   
31,437
       
309,654
 
TZP Strategies Acquisition Corporation - ADR
   
50,000
       
498,000
 
Union Acquisition Corporation II - ADR
   
940
       
9,447
 
VectoIQ Acquisition Corporation II
   
315,940
       
3,200,472
 
VG Acquisition Corporation Class A - ADR (k)
   
26,708
       
271,620
 
Virgin Group Acquisition Corporation II - ADR
   
394,984
       
3,922,191
 
Virtuoso Acquisition Corporation
   
517,827
       
5,105,774
 
Vy Global Growth Class A - ADR (k)
   
567,814
       
5,746,278
 
Yucaipa Acquisition Corporation Class A - ADR
   
858,999
       
8,461,140
 
TOTAL SPECIAL PURPOSE ACQUISITION COMPANIES (Cost $481,175,959)
             
478,007,286
 
   
Shares
           
PRIVATE INVESTMENT IN PUBLIC EQUITY - 0.05% (a)(f)(m)
                 
Ascendant Digital Acquisition Corporation Class A (b)
   
139,400
       
1,394,000
 
Tuscan Holdings Corporation
   
61,000
       
610,000
 
TOTAL PRIVATE INVESTMENT IN PUBLIC EQUITY (Cost $2,004,000)
             
2,004,000
 
                   
PREFERRED STOCKS - 0.02%
                 
Brookfield Property REIT, Inc., 6.375%
   
29,286
       
724,243
 
TOTAL PREFERRED STOCKS (Cost $725,966)
             
724,243
 
                   
CONTINGENT VALUE RIGHTS - 0.08% (a)(f)
                 
Alder Biopharmaceuticals, Inc.
   
2,217,560
       
2,550,194
 
Ligand Pharmaceuticals
   
468,741
       
527,334
 
Media General, Inc. (e)
   
891,153
       
26,734
 
TOTAL CONTINGENT VALUE RIGHTS (Cost $0)
             
3,104,262
 
                   
RIGHTS - 0.01% (a)
                 
Bristol-Myers Squibb Company
   
453,175
       
464,504
 
TOTAL RIGHTS (Cost $0)
             
464,504
 
                   
WARRANTS - 0.22% (a)
                 
ACE Convergence Acquisition Corporation Class A
                 
Expiration: September 2027, Exercise Price: $11.50 (b)
   
100,346
       
195,675
 
Ajax I Class A
                 
Expiration: December 2026, Exercise Price: $11.50 (b)
   
391,521
       
661,670
 
Akazoo S.A.
                 
Expiration: December 2024, Exercise Price: $11.50 (b)(d)(g)
   
238,850
       
 
Altitude Acquisition Corporation Class A
                 
Expiration: November 2027, Exercise Price: $11.50
   
104,444
       
177,555
 
Apollo Strategic Growth Capital Class A
                 
Expiration: October 2027, Exercise Price: $11.50 (b)
   
326,548
       
411,450
 
Artius Acquisition, Inc.
                 
Expiration: July 2026, Exercise Price: $11.50 (b)
   
161,646
       
278,031
 
Ascendant Digital Acquisition Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50 (b)
   
198,832
       
200,820
 
Avanti Acquisition Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50 (b)
   
125,000
       
131,250
 
BowX Acquisition Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50
   
105,913
       
226,654
 
CC Neuberger Principal Holdings II Class A
                 
Expiration: July 2025, Exercise Price: $11.50 (b)
   
27,923
       
30,732
 
CEC BRANDS LLC
                 
Expiration: December 2025 , Exercise Price: $21.88 (d)(g)
   
189,648
       
237,060
 
CHP Merger Corporation Class A
                 
Expiration: November 2024, Exercise Price: $11.50
   
36,052
       
28,842
 
Churchill Capital Corporation IV Class A
                 
Expiration: September 2025, Exercise Price: $11.50
   
24,733
       
275,773
 
Cohn Robbins Holdings Corporation Class A
                 
Expiration: August 2025, Exercise Price: $11.50 (b)
   
297,617
       
357,140
 
Conx Corporation Class A
                 
Expiration: October 2027, Exercise Price: $11.50
   
153,442
       
188,734
 
D8 Holdings Corporation Class A
                 
Expiration: August 2027, Exercise Price: $11.50 (b)
   
79,300
       
91,195
 
Dragoneer Growth Opportunities Corporation Class A
                 
Expiration: August 2025, Exercise Price: $11.50 (b)
   
1,200
       
1,908
 
E.Merge Technology Acquisition Corporation Class A
                 
Expiration: July 2025, Exercise Price: $11.50
   
395,766
       
375,978
 
Equity Distribution Acquisition Corporation Class A
                 
Expiration: September 2025, Exercise Price: $11.50
   
17,660
       
19,073
 
Falcon Capital Acquisition Corporation Class A
                 
Expiration: August 2027, Exercise Price: $11.50
   
46,682
       
71,890
 
Fintech Acquisition Corporation IV Class A
                 
Expiration: December 2025, Exercise Price: $11.50
   
66,666
       
96,666
 
Foley Trasimene Acquisition Corporation
                 
Expiration: July 2025, Exercise Price: $11.50
   
109,651
       
175,442
 
Fusion Acquisition Corporation Class A
                 
Expiration: June 2027, Exercise Price: $11.50
   
106,742
       
123,821
 
Galileo Acquisition Corporation
                 
Expiration: October 2026, Exercise Price: $11.50 (b)
   
112,274
       
61,751
 
GCM Grosvenor, Inc. Class A
                 
Expiration: November 2025, Exercise Price: $11.50
   
180,158
       
210,785
 
Golden Falcon Acquisition Corporation Class A
                 
Expiration: November 2026, Exercise Price: $11.50
   
172,837
       
122,714
 
Gores Holdings V, Inc. Class A
                 
Expiration: August 2027, Exercise Price: $11.50
   
37,774
       
58,550
 
Healthcare Services Acquisition Corporation Class A
                 
Expiration: December 2027, Exercise Price: $11.50
   
225,254
       
141,910
 
Highcape Capital Acquisition Corporation Class A
                 
Expiration: September 2027, Exercise Price: $11.50
   
44,855
       
146,676
 
HPX Corporation Class A
                 
Expiration: July 2025, Exercise Price: $11.50 (b)
   
24,612
       
19,811
 
International General Insurance Holdings Ltd.
                 
Expiration: March 2025, Exercise Price: $11.50 (b)(f)
   
311,172
       
276,943
 
Juniper Industrial Holdings, Inc. Class A
                 
Expiration: November 2026, Exercise Price: $11.50
   
22,211
       
61,080
 
KL Acquisition Corporation Class A
                 
Expiration: January 2028, Exercise Price: $11.50
   
207,528
       
134,893
 
KLDiscovery, Inc.
                 
Expiration: December 2024, Exercise Price: $11.50 (f)
   
677,651
       
206,751
 
LGL Systems Acquisition Corporation Class A
                 
Expiration: November 2026, Exercise Price: $11.50
   
253,330
       
319,196
 
Marlin Technology Corporation Class A
                 
Expiration: March 2026, Exercise Price: $11.50 (b)
   
220,545
       
160,998
 
Merida Merger Corporation I
                 
Expiration: November 2026, Exercise Price: $11.50
   
112,049
       
129,977
 
Montes Archimedes Acquisition Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50
   
101,132
       
85,962
 
Motive Capital Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50 (b)
   
138,737
       
122,088
 
Pontem Corporation Class A
                 
Expiration: December 2027, Exercise Price: $11.50 (b)
   
134,633
       
100,975
 
Prospector Capital Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50 (b)
   
155,088
       
156,639
 
Revolution Acceleration Acquisition Corporation Class A
                 
Expiration: December 2026, Exercise Price: $11.50
   
123,549
       
244,627
 
Senior Connect Acquisition Corporation I Class A
                 
Expiration: December 2027, Exercise Price: $11.50
   
158,629
       
112,706
 
Thunder Bridge Acquisition II Ltd. Class A
                 
Expiration: November 2026, Exercise Price: $11.50 (b)
   
51,699
       
113,221
 
TPG Pace Tech Opportunities Corporation Class A
                 
Expiration: October 2027, Exercise Price: $11.50 (b)
   
4,116
       
5,557
 
Trebia Acquisition Corporation Class A
                 
Expiration: December 2025, Exercise Price: $11.50 (b)
   
124,430
       
186,645
 
Tuscan Holdings Corporation II
                 
Expiration: July 2025, Exercise Price: $11.50
   
109,883
       
87,906
 
VG Acquisition Corporation Class A
                 
Expiration: September 2025, Exercise Price: $11.50 (b)
   
102,075
       
171,486
 
Whole Earth Brands, Inc.
                 
Expiration: June 2025, Exercise Price: $11.50
   
303,833
       
638,049
 
TOTAL WARRANTS (Cost $18,134,591)
             
8,435,255
 
                   
   
Principal Amount
           
BANK LOANS - 1.47%
                 
Cengage Learning Holdings II, Inc.
                 
5.250% (3 Month U.S. LIBOR + 4.250%), 6/7/2023 (f)(i)
 
$
8,394,307
       
8,322,158
 
Cyxtera DC Holdings, Inc.
                 
8.250% (3 Month LIBOR USD + 7.250%), 5/1/2025 (f)(i)
   
4,889,000
       
4,852,333
 
Golden Nugget LLC
                 
3.250% (1 Month LIBOR USD + 2.500%), 10/4/2023 (f)(i)
   
10,077,000
       
9,932,143
 
McGraw-Hill Global Education Holdings LLC
                 
5.750% (3 Month U.S. LIBOR + 4.000%), 5/4/2022 (f)(i)
   
9,760,200
       
9,790,700
 
RentPath LLC
                 
8.000% (1 Month U.S. LIBOR + 7.000%), 12/14/2025 (f)(i)
   
443,691
       
448,128
 
8.000% (3 Month U.S. LIBOR + 4.750%), 12/17/2021 (f)(i)(l)
   
7,124,000
       
6,482,839
 
Watts Guerra LLP
                 
8.000%, 12/31/2022 (d)(g)
   
17,966,000
       
17,966,000
 
TOTAL BANK LOANS (Cost $39,456,081)
             
57,794,301
 
                   
CORPORATE BONDS - 5.09% (f)
                 
Ardagh Packaging Finance plc / Ardagh Holdings USA, Inc.
                 
6.000%, 2/15/2025 (b)(h)
 
$
3,609,000
       
3,722,684
 
Cincinnati Bell, Inc.
                 
7.000%, 7/15/2024 (h)
   
2,935,000
       
3,034,056
 
8.000%, 10/15/2025 (h)
   
11,838,000
       
12,613,863
 
Diamond Resorts International, Inc.
                 
7.750%, 9/1/2023 (h)
   
19,197,000
       
20,024,679
 
10.750%, 9/1/2024 (h)(k)
   
15,983,000
       
16,976,263
 
Gogo Intermediate Holdings LLC / Gogo Finance Company, Inc.
                 
9.875%, 5/1/2024 (h)(k)
   
21,014,000
       
22,156,636
 
Golden Nugget, Inc.
                 
6.750%, 10/15/2024 (h)(k)
   
17,394,000
       
17,610,033
 
Ingram Micro, Inc.
                 
5.450%, 12/15/2024
   
16,898,000
       
19,272,525
 
Michaels Stores, Inc.
                 
4.750%, 10/1/2027 (h)
   
17,347,000
       
18,890,883
 
Navistar International Corporation Class B
                 
6.625%, 11/1/2025 (h)
   
11,607,000
       
12,057,119
 
Nielsen Finance LLC / Nielsen Finance Company
                 
5.000%, 4/15/2022 (h)
   
4,353,000
       
4,358,248
 
Solera LLC / Solera Finance, Inc.
                 
10.500%, 3/1/2024 (h)
   
4,744,000
       
4,906,956
 
Stars Group Holdings BV / Stars Group US Co-Borrower LLC
                 
7.000%, 7/15/2026 (b)(h)(k)
   
5,345,000
       
5,595,547
 
Tempo Acquisition LLC / Tempo Acquisition Finance Corporation
                 
6.750%, 6/1/2025 (h)
   
27,913,000
       
28,558,488
 
WPX Energy, Inc.
                 
5.875%, 6/15/2028 (k)
   
9,554,000
       
10,543,508
 
TOTAL CORPORATE BONDS (Cost $215,960,872)
             
200,321,488
 
                   
   
Contracts (100
shares per contract)
 
Notional Amount
       
PURCHASED OPTIONS - 0.19% (a)
                 
PURCHASED CALL OPTIONS - 0.03% (a)
                 
Analog Devices, Inc.
                 
Expiration: June 2021, Exercise Price: $180.00
   
1,923
 
 $        29,821,884
   
249,990
 
Marvell Technology Group Ltd. ADR
                 
Expiration: August 2021, Exercise Price: $65.00
   
6,677
 
32,703,946
   
787,886
 
               
1,037,876
 
PURCHASED PUT OPTIONS - 0.16% (a)
                 
Apollo Global Management, Inc.
                 
Expiration: May 2021, Exercise Price: $43.00
   
2,213
 
10,403,313
   
232,365
 
Expiration: May 2021, Exercise Price: $45.00
   
3,848
 
18,089,448
   
577,200
 
DuPont de Nemours, Inc.
                 
Expiration: April 2021, Exercise Price: $55.00
   
421
 
3,253,488
   
21,681
 
The Hartford Financial Services Group, Inc.
                 
Expiration: May 2021, Exercise Price: $55.00
   
1,140
 
7,614,060
   
48,450
 
Expiration: May 2021, Exercise Price: $60.00
   
1,446
 
9,657,834
   
185,088
 
Jazz Pharmaceuticals plc ADR
                 
Expiration: June 2021, Exercise Price: $140.00
   
126
 
2,071,062
   
27,720
 
Pershing Square Tontine Holdings Ltd.
                 
Expiration: September 2021, Exercise Price: $30.00
   
1,245
 
2,989,245
   
1,027,125
 
SPDR S&P 500 ETF Trust
                 
Expiration: April 2021, Exercise Price: $390.00
   
662
 
26,237,046
   
191,318
 
Expiration: May 2021, Exercise Price: $390.00
   
1,324
 
52,474,092
   
957,252
 
Tilray, Inc.
                 
Expiration: June 2021, Exercise Price: $25.00
   
3,155
 
7,171,315
   
2,050,751
 
Expiration: June 2021, Exercise Price: $30.00
   
1,025
 
2,329,825
   
1,066,000
 
               
6,384,950
 
TOTAL PURCHASED OPTIONS (Cost $12,465,631)
             
7,422,826
 
                   
   
Shares
           
ESCROW NOTES - 5.30% (a)(f)
                 
Allergro Merger Corporation
   
167,002
       
4,259
 
Altaba, Inc.
   
14,342,311
       
208,142,788
 
AMR Corporation
   
1,243,406
       
136,775
 
TOTAL ESCROW NOTES (Cost $152,116,902)
             
208,283,822
 
                   
                   
SHORT-TERM INVESTMENTS - 12.44%
                 
MONEY MARKET FUNDS - 10.12% (c)
                 
Goldman Sachs Government Fund, Class FST, 0.04%
   
192,693,000
       
192,693,000
 
Invesco Government & Agency Portfolio, Institutional Share Class, 0.03%
   
12,742,785
       
12,742,785
 
JPMorgan U.S. Government Money Market Fund, Class IM, 0.04%
   
192,693,000
       
192,693,000
 
TOTAL SHORT-TERM INVESTMENTS
                 
(Cost $398,128,785)
             
398,128,785
 
TOTAL LONG INVESTMENTS
                 
(Cost $3,609,557,334) - 97.80%
             
3,755,878,073
 
                   
INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED - 2.32%
                 
SHORT-TERM FUND - 2.32% (c)
                 
Mount Vernon Liquid Asset Portfolio LLC - , 0.11%
   
91,339,511
       
91,339,511
 
TOTAL SHORT-TERM FUND - (Cost $91,339,511)
             
91,339,511
 
TOTAL INVESTMENTS OF CASH COLLATERAL FROM SECURITIES LOANED - (Cost $91,339,511)
             
91,339,511
 
                   
SHORT INVESTMENTS - (2.57)%
                 
COMMON STOCKS - (2.41)%
                 
AEROSPACE & DEFENSE - (0.03)%
                 
Teledyne Technologies, Inc.
   
(2,512
)
     
(1,039,089
)
APPLICATION SOFTWARE - (0.13)%
                 
salesforce.com, Inc.
   
(23,680
)
     
(5,017,081
)
ELECTRONIC COMPONENTS - (0.65)%
                 
II-VI, Inc.
   
(376,345
)
     
(25,730,708
)
FINANCIAL EXCHANGES & DATA - (0.11)%
                 
S&P Global, Inc.
   
(11,630
)
     
(4,103,878
)
LIFE SCIENCE TOOLS & SERVICES - (0.13)%
                 
ICON plc - ADR
   
(25,980
)
     
(5,101,692
)
OIL & GAS EXPLORATION & PRODUCTION - 0.00%
                 
Diamondback Energy, Inc.
   
(87
)
     
(6,393
)
PHARMACEUTICALS - (0.11)%
                 
AstraZeneca plc - ADR
   
(58,621
)
     
(2,914,636
)
Jazz Pharmaceuticals plc - ADR (j)
   
(8,316
)
     
(1,366,901
)
               
(4,281,537
)
RAILROADS - (0.72)%
                 
Canadian Pacific Railway Ltd. - ADR
   
(74,762
)
     
(28,356,480
)
REGIONAL BANKS - (0.20)%
                 
Huntington Bancshares, Inc.
   
(502,876
)
     
(7,905,211
)
SEMICONDUCTORS - (0.26)%
                 
Analog Devices, Inc.
   
(27,493
)
     
(4,263,615
)
Marvell Technology Group Ltd. - ADR (j)
   
(121,178
)
     
(5,935,298
)
               
(10,198,913
)
TIRES & RUBBER - (0.07)%
                 
The Goodyear Tire & Rubber Company
   
(161,852
)
     
(2,843,740
)
TOTAL COMMON STOCKS
                 
  (Proceeds $93,247,616)
             
(94,584,722
)
   
Principal Amount
           
CORPORATE BONDS - (0.16)% (f)
                 
Devon Energy Corporation
                 
5.850%, 12/15/2025
 
$
(5,446,000
)
     
(6,353,966
)
TOTAL CORPORATE BONDS
                 
  (Proceeds $6,058,071)
             
(6,353,966
)
TOTAL SHORT INVESTMENTS
                 
  (Proceeds $99,305,687) - (2.57)%
             
(100,938,688
)
TOTAL NET INVESTMENTS
                 
  (Cost $3,601,591,158) - 95.23%
             
3,746,278,896
 
OTHER ASSETS IN EXCESS OF LIABILITIES - 4.77%
             
187,694,068
 
TOTAL NET ASSETS - 100.00%
            
$
3,933,972,964
 

ADR
 
- American Depository Receipt
           
ETF
 
- Exchange-Traded Fund
 
LIBOR
 
- London Interbank Offered Rate
 
plc
 
- Public Limited Company
 
REITs
 
- Real Estate Investment Trusts
 
(a)
 
Non-income producing security.
 
(b)
 
Foreign security.
 
(c)
 
The rate quoted is the annualized seven-day yield as of March 31, 2021.
 
(d)
 
Security fair valued by the Valuation Group in good faith in accordance with the policies adopted by the Board of Trustees.
 
(e)
 
All or a portion of the shares have been committed as collateral for open securities sold short, written option contracts, swap contracts, and forward currency exchange contracts.
 
(f)
 
Level 2 Security. Please see footnote (n) on the Schedule of Investments for more information.
 
(g)
 
Level 3 Security. Please see footnote (n) on the Schedule of Investments for more information.
 
(h)
 
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutional buyers. As of March 31, 2021, these securities represent 4.33% of total net assets.
 
(i)
 
The coupon rate shown on variable rate securities represents the rate as of March 31, 2021.
 
(j)
 
This security is held in connection with a written option contract.
 
(k)
 
All or a portion of the shares was out on loan at March 31, 2021. Total loaned securities had a value of $89,849,069 at March 31, 2021.
 
(l)
 
Default or other conditions exist and the security is not presently accruing income.
 
(m)
 
Represents unfunded commitments.
           
                 
(n)
 
Investment Valuation
 
   
The following is a summary of the Fund’s pricing procedures. It is intended to be a general discussion and may not necessarily reflect all pricing procedures followed by the Fund.
 
       
   
Equity securities, including common and preferred stocks, closed-end funds and ETFs, that trade on an exchange will typically be valued based on the last reported sale price. Securities listed on NASDAQ are typically valued using the NASDAQ Official Closing Price. The securities valued using quoted prices in active markets are classified as Level 1 investments. If, on a particular day, an exchange-listed security does not trade, then the mean between the closing bid and asked prices will typically be used to value the security. These securities are classified as Level 2 investments. Fixed income securities having a maturity of greater than 60 days are typically valued based on evaluations provided by an independent pricing vendor. Investments in United States government securities (other than short-term securities) are valued at the mean between the 4:00 p.m. New York time bid and asked prices supplied by a third party vendor. Short-term fixed-income securities having a maturity of less than 60 days are valued at market quotations or based on valuations supplied by a third party pricing service. If a reliable price from a third party pricing service is unavailable, amortized cost may be used if it is determined that the instrument’s amortized cost value represents approximately the fair value of the security. These securities are classified as Level 2 investments.
 
       
   
Investments in Special Purpose Acquisition Companies, including their related units, shares, rights and warrants (each a “SPAC interest”), will typically be valued by reference to the last reported transaction for the composite exchange. These securities are classified as Level 1 investments. If, on a particular day, no reliable market transaction is readily available and reported for the composite exchange, then the mean between the closing bid and asked prices on the composite exchange will be used to value the SPAC interest, or the SPAC interest will be fair valued in accordance with the Fund’s pricing procedures. These securities are classified as Level 2 investments.
 
       
   
Exchange-traded options are typically valued at the higher of the intrinsic value of the option (i.e., what a Fund would pay or can receive upon the option being exercised) or the last reported composite sale price when such sale falls between the bid and asked prices. Notwithstanding the above, options that trade principally on a European exchange are typically valued at the “settlement price” as reported by the exchange on which the option principally trades. If the settlement price for a European exchange-traded option is unreliable or unavailable, the option will generally be valued at the last reported sale price. When the last sale of an exchange-traded option is outside the bid and asked prices, the Fund will typically value the option at the higher of the intrinsic value of the option or the mean between the highest end of day option bid price and the lowest end of day option ask price. On the stipulated expiration date, expiring options will be priced at intrinsic value. Options for which there is an active market are classified as Level 1 investments, but options not listed on an exchange and/or are fair valued in accordance with the Fund’s pricing procedures are classified as Level 2 investments.
 
       
   
Investments in registered open-end investment companies, including Money Market Funds, are typically valued at their reported net asset value (“NAV”) per share. These securities are generally classified as Level 1 investments.
 
       
   
Forward currency contracts are valued at bid prices calculated using an “interpolation” methodology that incorporates foreign-exchange prices for standard forward-settlement periods. These securities are generally classified as Level 2.
 
       
   
In general, swap prices are determined using the same methods as would be used to price the underlying security. When the underlying security is the subject of a completed corporate reorganization for which the final deal terms are known, the swap is priced at the value of the consideration to be received by the Fund. The credit quality of the swap’s counterparties and collateral is monitored and the valuation of a swap may be adjusted if it is believed that the credit quality of the counterparty or collateral affects the market value of the swap position. These securities are generally classified as Level 2 investments.
 
       
   
Private Investment in Public Equity. The Fund may acquire equity securities of an issuer through a private investment in a public equity (PIPE) transaction, including through commitments to purchase securities on a when-issued basis. A PIPE typically involves the purchase of securities directly from a publicly traded company in a private placement transaction. Securities purchased through PIPE transactions will be restricted from trading and considered illiquid until a resale registration statement for the shares is filed and declared effective. At period end, the Fund had commitments to purchase when-issued securities through PIPE transactions with SPACs. The commitments are contingent upon the SPACs acquiring the securities of target companies.
 
                 
   
The Fund typically fair values securities and assets for which (a) market quotations are not readily available or (b) market quotations are believed to be unrepresentative of market value. For example, the Fund may fair value a security that primarily trades on an exchange that closes before the New York Stock Exchange (“NYSE”) if a significant event occurs after the close of the exchange on which the security primarily trades but before the NYSE closes. Fair valuations are determined in good faith by the Valuation Group (the “Valuation Group”), a committee comprised of persons who are officers of the Trust or representatives of the Adviser, acting pursuant to procedures adopted by the Board. When fair value pricing is employed, the prices of securities used by the Fund to calculate its NAV may differ from quoted or published prices for the same securities. In addition, due to the subjective nature of fair value pricing, it is possible that the value determined for a particular asset may be materially different from the value realized upon such asset’s sale. These securities are generally classified as Level 2 or 3 depending on the inputs as described below.
 
       
   
The Fund has performed an analysis of all existing investments to determine the significance and character of all inputs to their fair value determination. Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:
 
       
   
Level 1 — Quoted prices in active markets for identical securities.
 
   
Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
 
   
Level 3 — Significant unobservable inputs are those inputs that reflect the applicable Fund’s own assumptions that market participants would use to price the asset or liability based on the best available information.
 
       
   
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
 
       
   
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for the Fund as of March 31, 2021. These assets and liabilities are measured on a recurring basis.
 

 
Investments at Fair Value
 
Level 1
   
Level 2
   
Level 3
   
Total
 
 
Assets
                       
 
Common Stocks*
 
$
2,322,092,157
   
$
69,095,144
   
$
-
   
$
2,391,187,301
 
 
Special Purpose Acquisition Companies
   
432,931,846
     
45,075,440
     
-
     
478,007,286
 
 
Private Investment in Public Equity
   
-
     
2,004,000
     
-
     
2,004,000
 
 
Preferred Stocks
   
724,243
     
-
     
-
     
724,243
 
 
Contingent Value Rights
   
-
     
3,104,262
     
-
     
3,104,262
 
 
Rights
   
464,504
     
-
     
-
     
464,504
 
 
Warrants
   
7,714,501
     
483,694
     
237,060
     
8,435,255
 
 
Bank Loans
   
-
     
39,828,301
     
17,966,000
     
57,794,301
 
 
Corporate Bonds
   
-
     
200,321,488
     
-
     
200,321,488
 
 
Purchased Option Contracts
   
7,422,826
     
-
     
-
     
7,422,826
 
 
Escrow Notes
   
-
     
208,283,822
     
-
     
208,283,822
 
 
Short-Term Investments
   
398,128,785
     
-
     
-
     
398,128,785
 
 
Investments Purchased with the Cash Proceeds from Securities Lending***
   
-
     
-
     
-
     
91,339,511
 
 
Forward Currency Exchange Contracts**
   
-
     
5,445,311
     
-
     
5,445,311
 
 
Total
 
$
3,169,478,862
   
$
573,641,462
   
$
18,203,060
   
$
3,852,662,895
 
 
 
                               
 
Liabilities
                               
 
Short Common Stocks*
 
$
(94,584,722
)
 
$
-
   
$
-
   
$
(94,584,722
)
 
Short Corporate Bonds
   
-
     
(6,353,966
)
   
-
     
(6,353,966
)
 
Written Option Contracts
   
(6,768,577
)
   
-
     
-
     
(6,768,577
)
 
Forward Currency Exchange Contracts**
   
-
     
(6,348,457
)
   
-
     
(6,348,457
)
 
Swap Contracts**
   
-
     
(65,475,482
)
   
-
     
(65,475,482
)
 
Total
 
$
(101,353,299
)
 
$
(78,177,905
)
 
$
-
   
$
(179,531,204
)

*
Please refer to the Schedules of Investments to view long/short common stocks segregated by industry type.
 
 
**
Swap contracts and forward currency exchange contracts are valued at the net unrealized appreciation (depreciation) on the instrument by counterparty.
***
Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been characterized
 
in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the
 
amount presented in the Statement of Assets and Liabilities. See footnote (o) for additional information regarding securities lending activity.

   
The Level 2 securities are priced using inputs such as current yields, discount rates, credit quality, yields on comparable securities, trading volume, maturity date, market bid and asked prices, prices on comparable securities and other significant inputs. Level 3 securities are valued by using broker quotes or such other pricing sources or data as are permitted by the Fund’s pricing procedures. At March 31, 2021, the value of these securities was $18,203,060. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs as described in footnote (n). The appropriateness of fair values for these securities is monitored by the Valuation Group on an ongoing basis.
 
       
   
Level 3 Reconciliation Disclosure
 
       
   
The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value.
 

 
Description
 
Common Stocks
   
Private Investment in Public Equity
   
Warrants
   
Bank Loans
   
Total Investment
 
 
Balance as of December 31, 2020
 
$
33,291,832
   
$
14,122,852
   
$
184,100
   
$
17,966,000
   
$
65,564,784
 
 
Purchases on Investments
   
-
     
-
     
-
     
-
     
-
 
 
(Sales) of Investments
   
(35,947,906
)
   
(11,280,674
)
   
-
     
-
     
(47,228,580
)
 
Realized (Gain) Loss
   
3,307,813
     
8,570,984
     
-
     
-
     
11,878,797
 
 
Transfers Into Level 3
   
-
     
-
     
-
     
-
     
-
 
 
(Transfer Out) of Level 3
   
-
     
-
     
-
     
-
     
-
 
 
Change in Unrealized Appreciation (Depreciation)
   
(651,739
)
   
(11,413,162
)
   
52,960
     
-
     
(12,011,941
)
 
Balance as of March 31, 2021
 
$
(0
)
 
$
-
   
$
237,060
   
$
17,966,000
   
$
18,203,060
 
 
 
                                       
 
Change in unrealized appreciation (depreciation)
    during the year for Level 3 investments held at
    March 31, 2021
 
$
-
   
$
-
   
$
(9,212,014
)
 
$
-
   
$
(9,212,014
)

    The realized and unrealized gains and losses from Level 3 transactions are included with the net realized gain (loss) on investments and net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, respectively. The net change in unrealized appreciation on investments related to Level 3 securities held by the Fund at March 31, 2021 totals $(12,011,941).  
   
Significant unobservable valuation inputs monitored by the Valuation Group under the supervision of the Board of Trustees for restricted securities or material Level 3 investments as of March 31, 2021 for the Fund are as follows:
 

   
Description
 
Fair Value at
March 31, 2021
 
Valuation Technique
 
Unobservable Input
 
Input Values (Ranges)
 
   
Warrant
 
$
-
* 
Projected Final Exercise Price**
 
Value of Final Exercise Price
 
$
0.00 - $0.01
 
   
Warrant
 
$
237,060
 
Projected Final Exercise Price
 
Expected Recovery
 
$
1.25
 

 *
Amount less than $0.50.
       
 
 
 
       
 
**
Based on the evaluation of the likelihood that the warrant is exercised, the security is being priced at zero.
       

   
The table above does not include certain Level 3 investments that are valued by brokers. At March 31, 2021, the net value of these securities was $17,966,000. The inputs for these  investments are not readily available or cannot be reasonably estimated and are generally those inputs described herein.
 
       
   
The Global Industry Classification Standard (GICS®) was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor’s Financial Services LLC (“S&P”). GICS is a service mark of MSCI and S&P and has been licensed for use by U.S. Bancorp Fund Services, LLC, doing business as U.S Bank Global Fund Services.
 
       

The Merger Fund
             
SCHEDULE OF INVESTMENTS
             
Open Written Options
                 
March 31, 2021 (Unaudited)
             
               
   
Contracts (100 shares per contract)
   
Notional Amount
   
Value
 
WRITTEN CALL OPTIONS
             
American Equity Investment Life Holding Company
                 
Expiration: May 2021, Exercise Price: $25.00
   
(112
)
 
$
(353,136
)
 
$
(73,136
)
Apollo Global Management, Inc.
                       
Expiration: May 2021, Exercise Price: $47.00
   
(1,818
)
   
(8,546,418
)
   
(503,457
)
Expiration: May 2021, Exercise Price: $48.00
   
(3,848
)
   
(18,089,448
)
   
(692,640
)
CoreLogic, Inc.
                       
Expiration: April 2021, Exercise Price: $80.00
   
(3,021
)
   
(23,941,425
)
   
(105,735
)
Expiration: May 2021, Exercise Price: $80.00
   
(627
)
   
(4,968,975
)
   
(43,890
)
DuPont de Nemours, Inc.
                       
Expiration: April 2021, Exercise Price: $62.50
   
(421
)
   
(3,253,488
)
   
(639,920
)
Extended Stay America, Inc.
                       
Expiration: April 2021, Exercise Price: $19.65
   
(3,626
)
   
(7,161,350
)
   
(72,520
)
The Hartford Financial Services Group, Inc.
                       
Expiration: May 2021, Exercise Price: $65.00
   
(2,586
)
   
(17,271,894
)
   
(1,228,350
)
Jazz Pharmaceuticals plc ADR
                       
Expiration: June 2021, Exercise Price: $170.00
   
(103
)
   
(1,693,011
)
   
(86,417
)
Marvell Technology Group Ltd. ADR
                       
Expiration: August 2021, Exercise Price: $80.00
   
(6,677
)
   
(32,703,946
)
   
(220,341
)
The Michaels Cos, Inc.
                       
Expiration: April 2021, Exercise Price: $22.50
   
(3,406
)
   
(7,472,764
)
   
(17,030
)
Pershing Square Tontine Holdings Ltd.
                       
Expiration: September 2021, Exercise Price: $45.00
   
(1,245
)
   
(2,989,245
)
   
(174,300
)
Pluralsight, Inc. Class A
                       
Expiration: April 2021, Exercise Price: $20.00
   
(1,740
)
   
(3,887,160
)
   
(407,160
)
SPDR S&P 500 ETF Trust
                       
Expiration: April 2021, Exercise Price: $400.00
   
(1,764
)
   
(69,912,612
)
   
(412,753
)
Expiration: April 2021, Exercise Price: $405.00
   
(221
)
   
(8,758,893
)
   
(26,078
)
Tilray, Inc.
                       
Expiration: June 2021, Exercise Price: $25.00
   
(1,577
)
   
(3,584,521
)
   
(638,685
)
Expiration: June 2021, Exercise Price: $30.00
   
(2,602
)
   
(5,914,346
)
   
(774,095
)
                     
(6,116,507
)
WRITTEN PUT OPTIONS
                 
Pershing Square Tontine Holdings Ltd.
                       
Expiration: September 2021, Exercise Price: $22.50
   
(2,490
)
   
(5,978,490
)
   
(629,970
)
SPDR S&P 500 ETF Trust
                       
Expiration: April 2021, Exercise Price: $360.00
   
(221
)
   
(8,758,893
)
   
(9,724
)
Expiration: April 2021, Exercise Price: $365.00
   
(221
)
   
(8,758,893
)
   
(12,376
)
                     
(652,070
)
TOTAL WRITTEN OPTIONS
                       
(Premiums received $7,543,149)
                 
$
(6,768,577
)
   
ETF - Exchange-Traded Fund
                       

The Merger Fund
                         
SCHEDULE OF INVESTMENTS
                         
Forward Currency Exchange Contracts
                         
March 31, 2021 (Unaudited)
                         
                                 
Unrealized
 
Settlement
             
USD Value at
         
USD Value at
   
Appreciation
 
Date
 
Counterparty
 
Currency to be Delivered
   
March 31, 2021
 
Currency to be Received
   
March 31, 2021
   
(Depreciation)*
 
4/9/2021
 
JPM
 
43,612,586
AUD
  $
                        33,127,775
 
31,253,668
USD
  $
                         31,253,668
  $
                                         (1,874,107)
 
4/14/2021
 
JPM
 
18,923
EUR
   
22,198
 
23,324
USD
   
23,324
   
1,126
 
4/14/2021
 
JPM
 
22,597
USD
   
22,597
 
18,923
EUR
   
22,198
   
(399)
 
4/22/2021
 
GS
 
24,440,069
EUR
   
28,673,887
 
30,017,537
USD
   
30,017,537
   
1,343,650
 
5/17/2021
 
JPM
 
9,321,602
EUR
   
10,942,363
 
11,445,663
USD
   
11,445,663
   
503,300
 
5/17/2021
 
JPM
 
423,446
USD
   
423,446
 
344,415
EUR
   
404,299
   
(19,147)
 
6/16/2021
 
GS
 
32,243,671
EUR
   
37,874,891
 
39,205,537
USD
   
39,205,537
   
1,330,646
 
6/23/2021
 
JPM
 
184,237
EUR
   
216,446
 
220,206
USD
   
220,206
   
3,760
 
6/23/2021
 
JPM
 
282,237,400
JPY
   
2,551,070
 
2,721,454
USD
   
2,721,454
   
170,384
 
6/23/2021
 
JPM
 
2,691,547
USD
   
2,691,547
 
282,237,400
JPY
   
2,551,070
   
(140,477)
 
12/15/2021
 
GS
 
96,273,773
EUR
   
113,582,280
 
116,768,382
USD
   
116,768,382
   
3,186,102
 
5/12/2021
 
GS
 
34,247,473
GBP
   
47,219,787
 
46,706,641
USD
   
46,706,641
   
(513,146)
 
5/12/2021
 
JPM
 
3,519,833
GBP
   
4,853,082
 
4,857,616
USD
   
4,857,616
   
4,534
 
5/12/2021
 
GS
 
3,342,930
USD
   
3,342,930
 
2,495,674
GBP
   
3,440,989
   
98,059
 
5/13/2021
 
JPM
 
29,693,938
GBP
   
40,941,560
 
39,727,899
USD
   
39,727,899
   
(1,213,661)
 
5/18/2021
 
JPM
 
83,937,595
GBP
   
115,733,371
 
111,928,382
USD
   
111,928,382
   
(3,804,989)
 
5/18/2021
 
JPM
 
142,513
USD
   
142,513
 
106,583
GBP
   
146,957
   
4,444
 
5/4/2021
 
JPM
 
45,712,379
HKD
   
5,880,655
 
5,897,430
USD
   
5,897,430
   
16,775
 
               $
                      448,242,398
        $
                     447,339,252
  $
                                           (903,146)
 
               
AUD
- Australian Dollar
   
EUR
- Euro
   
GBP
- British Pound
   
GS
- Goldman, Sachs & Co.
   
HKD
- Hong Kong Dollar
   
JPM
- JPMorgan Chase & Co., Inc.
   
JPY
- Japanese Yen
   
USD
- U.S. Dollar
   
*
Net unrealized appreciation (depreciation) is a receivable (payable).
             
                                     

The Merger Fund
           
SCHEDULE OF INVESTMENTS
         
Open Swap Contracts*
                 
March 31, 2021 (Unaudited)
           
                 
Unrealized
 
     
Pay/Receive on
Financing
Payment
 
Notional
 
Appreciation
 
Counterparty
Security
Termination Date
Financing Rate
Rate
Frequency
Shares
 Amount
 
(Depreciation)**
 
LONG TOTAL RETURN SWAP CONTRACTS
       
JPM
Beijing Jingneng Clean Energy Company, Ltd. Class H
12/1/2021
Pay
0.550% + Overnight Rate
Quarterly
16,930,511
 $          5,580,739
  $
                         (1,749,428)
 
BAML
Bristol-Myers Squibb Company CVR
12/22/2021
Pay
0.000%**
Monthly
361,933
                          -
   
                                370,981
 
BAML
Brookfield Property Partners LP
1/5/2022
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
977,864
           16,776,669
   
                                616,037
 
JPM
Coca-Cola Amatil Ltd.
10/26/2021
Pay
0.550% + Overnight Rate
Quarterly
3,420,595
           30,369,653
   
                             4,514,086
 
GS
Dialog Semiconductor plc
2/8/2022
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
1,426,278
         111,325,436
   
                           (3,927,490)
 
GS
G4S plc
10/14/2021
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
13,631,937
           43,719,660
   
                             2,316,283
 
JPM
G4S plc
3/10/2022
Pay
0.450% + Overnight Rate
Quarterly
1,270,955
             4,282,706
   
                                    9,003
 
GS
GrandVision N.V.
2/8/2022
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
858,361
           26,057,436
   
                                411,752
 
JPM
Groupe Bruxelles Lambert S.A.
7/20/2021
Pay
0.550% + Overnight Rate
Quarterly
108,734
             9,441,329
   
                             1,810,188
 
JPM
RSA Insurance Group plc
11/6/2021
Pay
0.450% + Overnight Rate
Quarterly
12,238,092
         109,112,582
   
                             5,755,679
 
BAML
Signature Aviation plc
3/23/2022
Pay
0.450% + 1 Month U.S. LIBOR
Monthly
1,845,282
           10,297,673
   
                                (13,890)
 
GS
Siltronic AG
3/3/2022
Pay
0.500% + 1 Month U.S. LIBOR
Monthly
226,558
           38,154,203
   
                           (1,628,766)
 
JPM
Suez
10/9/2021
Pay
0.550% + Overnight Rate
Quarterly
531,485
           10,048,993
   
                             1,204,405
 
BAML
Willam Hill plc
11/16/2021
Pay
0.450% + 1 Month U.S. LIBOR
Monthly
4,487,602
           15,915,485
   
                                909,955
 
JPM
Willam Hill plc
9/25/2021
Pay
0.450% + Overnight Rate
Quarterly
6,084,528
           22,331,893
   
                                478,450
 
BAML
Xilinx, Inc.
1/11/2022
Pay
0.750% + 1 Month U.S. LIBOR
Monthly
19,013
             2,729,956
   
                              (374,830)
 
                       
SHORT TOTAL RETURN SWAP CONTRACTS
       
BAML
Advanced Micro Devices, Inc.
11/11/2021
Pay
(0.400)% + 1 Month U.S. LIBOR
Monthly
(858,208)
         (73,329,830)
   
                             5,956,131
 
JPM
Advanced Micro Devices, Inc.
10/27/2021
Pay
(0.600)% + Overnight Rate
Quarterly
(599,681)
         (49,684,035)
   
                             2,596,641
 
JPM
American Airlines Group, Inc.
7/20/2021
Pay
(0.600)% + Overnight Rate
Quarterly
(11,395)
              (130,701)
   
                              (141,672)
 
BAML
Analog Devices, Inc.
7/30/2021
Pay
(0.400)% + 1 Month U.S. LIBOR
Monthly
(1,007,675)
       (124,091,608)
   
                         (32,187,124)
 
GS
Aon plc
4/30/2021
Pay
(0.350)% + U.S. Federal Funds
Monthly
(1,059,497)
       (211,617,160)
   
                         (32,202,554)
 
BAML
Apollo Global Management, Inc.
3/15/2022
Pay
(0.400)% + 1 Month U.S. LIBOR
Monthly
(281,189)
         (13,633,040)
   
                                413,570
 
GS
AstraZeneca plc
12/15/2021
Pay
(0.350)% + U.S. Federal Funds
Monthly
(2,504,582)
       (128,245,811)
   
                             3,708,316
 
JPM
Basket of Swaps
7/20/2021
Pay
(0.950)% + Overnight Rate
Quarterly
(81,360)
           (9,194,184)
   
                           (1,396,254)
 
BAML
Brookfield Asset Management, Inc.
1/4/2022
Pay
(0.400)% + 1 Month U.S. LIBOR
Monthly
(312,112)
         (12,548,381)
   
                           (1,341,506)
 
GS
ICON plc
3/8/2022
Pay
(0.350)% + U.S. Federal Funds
Monthly
(135,650)
         (24,698,205)
   
                           (1,941,346)
 
BAML
Just Eat Takeaway
9/3/2021
Pay
(0.350)% + 1 Month U.S. LIBOR
Monthly
(439,168)
         (47,549,967)
   
                             6,902,039
 
BAML
Marvell Technology Group Ltd.
10/29/2021
Pay
(0.400)% + 1 Month U.S. LIBOR
Monthly
(2,158,666)
         (97,093,214)
   
                           (8,645,346)
 
JPM
Marvell Technology Group Ltd.
1/27/2022
Pay
(0.600)% + Overnight Rate
Quarterly
(51,719)
           (2,642,463)
   
                                108,605
 
GS
Qell Acquisition Corporation Class A
1/25/2022
Pay
0.000%**
Monthly
(3,556)
                (36,257)
   
                                         57
 
GS
S&P Global, Inc.
3/8/2022
Pay
(0.350)% + U.S. Federal Funds
Monthly
(47,827)
         (16,391,269)
   
                              (486,761)
 
JPM
S&P Global, Inc.
1/15/2022
Pay
(0.600)% + Overnight Rate
Quarterly
(386,524)
       (118,656,636)
   
                         (17,765,785)
 
GS
salesforce.com, Inc.
12/4/2021
Pay
(0.350)% + U.S. Federal Funds
Monthly
(292,419)
         (66,399,404)
   
                             4,439,840
 
GS
Teledyne Technologies, Inc.
1/14/2022
Pay
(0.350)% + U.S. Federal Funds
Monthly
(166,338)
         (64,621,029)
   
                           (4,194,729)
 
GS
Tilray, Inc.
3/8/2022
Pay
(1.883)% + U.S. Federal Funds
Monthly
(61)
                  (1,368)
   
                                       (19)
 
    $
                      (65,475,482)
 
BAML
- Bank of America Merrill Lynch & Co., Inc.
       
GS
- Goldman, Sachs & Co.
       
JPM
- JPMorgan Chase & Co., Inc.
       
LIBOR
- London Interbank Offered Rate
       
Overnight Rate
- Overnight Banking Funding Rate
                   
plc
- Public Limited Company
       
U.S. Federal Funds
- U.S. Federal Funds Effective Rate
       
*
There were no upfront premiums paid or received for the open swap contracts held.
             
**
Based on the net swap value held at each counterparty, unrealized appreciation (depreciation) is a receivable (payable).